Solved – Why use Student’s t distribution rather than Student’s z distribution

hypothesis testingt-test

So suppose I'm trying to decide whether to reject the null hypothesis that the mean of some random variable $X$ is zero based on the sample mean $\hat{\mu}$ computed from $n$ IID draws of this random variable. Then normally I would do a $t$ test $$t=\frac{\hat{\mu}}{\hat{\sigma}\;/ \sqrt{n}}$$

and check to see what the probability is that one would draw a more extreme value than $t$ from the $t$ distribution.

But why even bother scaling by $\sqrt{n}$? Why not just use Student's z-distribution? After all isn't that the true distribution for the sample mean $\hat{\mu}=\frac 1n\sum_{i=1}^nX_i$? The only reason I can see to bother is so that for large $n$ Student's t distribution approximates the standard normal distribution, which might simplify computation, is this the only reason it's done?

Best Answer

Generally, when you do a statistical test, you want the null distribution of the statistic to have a stable form, so as to allow easy computation of P-values.

This is partly a historical consideration. In principle, there's no reason you couldn't use the unscaled statistic $\hat{\mu}/\hat{\sigma}$, as opposed to $\hat{\mu}/(\frac{\hat{\sigma}}{\sqrt{n}})$, and compare to the percentage points of a distribution that became successively narrower with sample size. But this would be very cumbersome if you didn't have modern computers to calculate those percentage points for you. Even today, when we do have computers that could do this calculation, having a relatively stable null distribution makes it easier to compare results from different studies involving different sample sizes. A t-statistic of 2.5 is easier to comprehend because it means roughly the same thing whether you have a sample of 100 or 100,000. You can't say the same about the unscaled z-statistic.

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